Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/201644
Authors: 
Rubbenstroth, Bodo
Year of Publication: 
2019
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 619
Abstract: 
This paper studies two player stopping games in a discrete time multiple prior framework with a finite time horizon. Optimal stopping times as well as recursive formulas for the value processes of the games are derived. These results are used to characterize the set of no-arbitrage prices for a game option. The notion of a no-arbitrage price for a game option is based on the idea to consider the payoff for fixed stopping times as an European option.
Subjects: 
Dynkin games
multiple priors
game options
incomplete Markets
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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